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accessRights:"restricted"
~person:"Kirkby, J. Lars"
~person:"Serletis, Apostolos"
~subject:"Stochastischer Prozess"
~subject:"Volatilität"
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Stochastischer Prozess
Volatilität
Markov chain
18
Markov-Kette
18
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10
Estimation
8
Schätzung
8
Theorie
8
Theory
8
Option pricing theory
7
Optionspreistheorie
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Asian options
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BEKK
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CTMC
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Dependence
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Großbritannien
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Inflation
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Markov Regime Switching
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Markov chain approximation
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Markov regime-switching
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Money demand
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Multivariate Verteilung
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Kirkby, J. Lars
Serletis, Apostolos
Ma, Feng
7
Nguyen, Duy
7
Cui, Zhenyu
6
Elliott, Robert J.
6
Gupta, Rangan
5
Hammoudeh, Shawkat
5
Siu, Tak Kuen
5
Xu, Libo
5
Cavicchioli, Maddalena
4
Chang, Kuang-Liang
4
Ching, Wai Ki
4
Dimitrakopoulos, Stefanos
4
Hainaut, Donatien
4
He, Xin-Jiang
4
Ji, Qiang
4
Lee, Hsiang-Tai
4
Li, Leon
4
Lin, Shih-kuei
4
Lu, Xinjie
4
Luo, Jiawen
4
Otranto, Edoardo
4
Wang, Jiqian
4
Wei, Qingda
4
Wilfling, Bernd
4
Zhu, Song-Ping
4
Asai, Manabu
3
Bauwens, Luc
3
BenSaïda, Ahmed
3
Casarin, Roberto
3
Chan, Leunglung
3
Chen, Son-nan
3
Chen, Xian
3
Chevallier, Julien
3
Dufays, Arnaud
3
Gapeev, Pavel V.
3
Goutte, Stéphane
3
Kolkiewicz, Adam W.
3
Lee, Chien-chiang
3
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European journal of operational research : EJOR
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
Annals of finance
1
Economics letters
1
Insurance / Mathematics & economics
1
Macroeconomic dynamics
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of computational finance
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1
Inflation uncertainty
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
Saved in:
2
The oil price-macroeconomy dependence
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
6
,
pp. 2501-2520
Persistent link: https://www.econbiz.de/10014388954
Saved in:
3
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
Saved in:
4
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
5
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
6
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
7
Money supply volatility and the macroeconomy
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
24
(
2020
)
6
,
pp. 1392-1402
Persistent link: https://www.econbiz.de/10012307284
Saved in:
8
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
9
The demand for banking and shadow banking services
Serletis, Apostolos
;
Xu, Libo
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
10
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Saved in:
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